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Simulation of Stylized Facts in Agent-Based Computational Economic Market Models (1812.02726v2)
Published 27 Nov 2018 in econ.GN, econ.EM, q-fin.EC, and q-fin.TR
Abstract: We study the qualitative and quantitative appearance of stylized facts in several agent-based computational economic market (ABCEM) models. We perform our simulations with the SABCEMM (Simulator for Agent-Based Computational Economic Market Models) tool recently introduced by the authors (Trimborn et al. 2019). Furthermore, we present novel ABCEM models created by recombining existing models and study them with respect to stylized facts as well. This can be efficiently performed by the SABCEMM tool thanks to its object-oriented software design. The code is available on GitHub (Trimborn et al. 2018), such that all results can be reproduced by the reader.